Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process

• Date: 2007
• Main Authors: Mishura, Y., Posashkov, S.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2007
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4486
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process / Y. Mishura, S. Posashkov // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 152-165. — Бібліогр.: 8 назв.— англ.

The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter H belongs (3/4, 1) is established.